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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,878 papers · 148 categories

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0.3%0.5%0.8%0.4% · Jun 201119922001200920172026
2 results for “time-clocks”
Multiple Subordinated Modeling of Asset Returnsq-fin.MF

Introduces new financial models using subordinated processes.

problem Modeling asset returns with behavioral finance considerations.
method Introduces multiple internally embedded financial time-clocks, subordinated to Brownian motion, with a behavioral subordinator.
result New log-price process with multiple embedded subordinations, requiring estimation of new parameters.
subordinated processesbehavioral financeasset returnstime-clockslog-normal model
2019-07-29abs ↗pdf ↗
Optimal High Frequency Trading with limit and market ordersq-fin.TR

We propose a framework for studying optimal market making policies in a limit order book (LOB). The bid-ask spread of the LOB is modelled by a Markov chain with finite values, multiple of the tick size, and subordinated by the Poisson process of the tick-time clock. We consider a small agent who continuously submits li…

2011-06-24abs ↗pdf ↗